Train connections between Copenhagen and Malmö are quite convenient.
Most departures on the route are served either by SJ (the Swedish national rail company) or Öresundståg, a Danish-operated short-haul service. If you travel with Öresundståg, you'd have to stop for 20-30 minutes at the Copenhagen Airport and possibly change to another train, while SJ trains are direct.
You can buy SJ and Örestundståg tickets online from www.sj.se, they have a nicely working English website. Your departure station would be Köbenhavn H (Copenhagen central station), arrival Malmö C. Tickets are currently possible to book even for late November. Booking in advance is not necessary, you should be able to get a ticket at the train station just before the departure, but it might be cheaper than getting last-minute tickets.
The SJ website, as noted, also sells Örestundståg tickets for the routes that require a change of trains and are longer, but somewhat cheaper.
EDIT: If price is the primary concern, the cheapest option is Nettbuss, a Swedish bus company that has a route between the Copenhagen and Malmö bus terminals, both of them next to the respective train stations. The website is only in Swedish, and departures are less frequent than trains, with the price only being slightly lower. I would recommend the trains unless every Euro counts for your trip.
Important note: Sweden currently has temporary border controls for trains arriving from Denmark. Most trains will, when they stop at the first Swedish station, be boarded by Swedish police officers who check IDs to verify that you're allowed entry into Sweden. Your profile says you're an EU citizen, so just your passport or national ID card will suffice, but you should remember to have it with you.